Publication Type

Master Thesis

Publication Date

2012

Abstract

Results from previous studies testing for under-reaction and overreaction in the commodity futures market are mixed and inconclusive. Using a data of more than 20 categories of future contacts ranging from agricultural, metal and energy, we have found significant evidence of under-reaction in food and agricultural commodities but not in the energy and metal sector. It is also found that those relatively inactive commodity future contracts tend to have a stronger tendency to under-react than commodity future contracts are very actively traded. The result also agrees with the behavioral hypothesis that under-reaction is caused by gradual incorporation of information among investors.

Keywords

commodity futures, overreaction, under-reaction, agriculture, private information, behavioural finance

Degree Awarded

MSc in Finance

Discipline

Agribusiness | Portfolio and Security Analysis

Supervisor(s)

CAO, Jerry

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